12.08.2020 11:35
Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from August 13, 2020.
- Market risk rates and concentration limits will be changed for the following bonds:
| № | Ticker | Description | Current market risk rates | New market risk rates | New concentration limits, number of securities | |||||
|---|---|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | LK1 | LK2 | |||
| 1 | XS2196334671 | Gaz Finance Plc 3.00 29/06/27 | 100% | 100% | 100% | 22% | 25% | 28% | 20 000 | 100 000 |
| 2 | CH0419041634 | RZD CAPITAL PLC 03/04/28 | 100% | 100% | 100% | 48% | 51% | 54% | 600 | 3 000 |
| 3 | XS2199713384 | Sibur Securities DAC 08/07/25 | 100% | 100% | 100% | 19% | 22% | 25% | 10 000 | 50 000 |
| 4 | CH0205819441 | RZD Capital PLC 21 CHF | 100% | 100% | 100% | 7% | 10% | 13% | 600 | 3 000 |
| 5 | RU000A101XH9 | Rosseti Moscow Region BO1P03 | 100% | 100% | 100% | 28% | 31% | 34% | 100 000 | 500 000 |
| 6 | RU000A101P27 | Republic of Sakha Yakutia35014 | 100% | 100% | 100% | 16% | 19% | 22% | 110 000 | 550 000 |
| 7 | RU000A0JWXF0 | Krasnoyarsk reg.- 34012 | 100% | 100% | 100% | 11% | 14% | 17% | 364 620 | 1 823 100 |
| 8 | RU000A0JXT41 | Samara reg.-13 | 100% | 100% | 100% | 13% | 16% | 19% | 200 000 | 1 000 000 |
| 9 | RU000A0ZZC48 | Krasnoyarsk Territory 35015 | 100% | 100% | 100% | 13% | 16% | 19% | 240 000 | 1 200 000 |
| 10 | RU000A0ZZM87 | Krasnoyarsk Territory 35016 | 100% | 100% | 100% | 13% | 16% | 19% | 240 000 | 1 200 000 |
| 11 | RU000A101XS6 | MIPC JSC BO 001P-04 | 100% | 100% | 100% | 14% | 17% | 20% | 100 000 | 500 000 |
| 12 | RU000A101XN7 | Sistema PJSFC 001P-14 | 100% | 100% | 100% | 14% | 17% | 20% | 200 000 | 1 000 000 |
| 13 | XS1632225154 | EuroChem Fin DAC 3.95 05/07/21 | 7% | 10% | 13% | 6% | 9% | 12% | 2 561 | 12 805 |
| 14 | RU000A101WF5 | VEB.RF PBO-001P-21 | 100% | 100% | 100% | 14% | 17% | 20% | 400 000 | 2 000 000 |
| 15 | RU000A101Z17 | Sverdlovsk Region 35008 | 100% | 100% | 100% | 20% | 23% | 26% | 240 000 | 1 200 000 |
| 16 | RU000A101FY1 | Rosseti Moscow Region BO1P02 | 14% | 17% | 20% | 13% | 16% | 19% | 200 000 | 1 000 000 |
| 17 | RU000A101M04 | RZD BO 001P-20R | 42% | 45% | 48% | 21% | 24% | 27% | 300 000 | 1 500 000 |
| 18 | RU000A101WL3 | Moscow Region MEF 34014 | 100% | 100% | 100% | 16% | 19% | 22% | 280 000 | 1 400 000 |
| 19 | RU000A101WR0 | OGK-2 002P-01 | 100% | 100% | 100% | 14% | 17% | 20% | 100 000 | 500 000 |
| 20 | XS2159874002 | LUKOIL Securities B.V.06/05/30 | 52% | 55% | 58% | 52% | 55% | 58% | 30 000 | 150 000 |
| 21 | XS2157526315 | Gaz Finance Plc 2.95 15/04/25 | 19% | 22% | 25% | 19% | 22% | 25% | 20 000 | 100 000 |
- Ban on short selling will be cancelled for the following bonds:
| № | Ticker | Description | Current ban on short selling attribute | New ban on short selling attribute |
|---|---|---|---|---|
| 1 | XS2196334671 | Gaz Finance Plc 3.00 29/06/27 | Yes | No |
| 2 | CH0419041634 | RZD CAPITAL PLC 03/04/28 | Yes | No |
| 3 | XS2199713384 | Sibur Securities DAC 08/07/25 | Yes | No |
| 4 | CH0205819441 | RZD Capital PLC 21 CHF | Yes | No |
| 5 | RU000A101XH9 | Rosseti Moscow Region BO1P03 | Yes | No |
| 6 | RU000A0JXT41 | Samara reg.-13 | Yes | No |
| 7 | RU000A0ZZC48 | Krasnoyarsk Territory 35015 | Yes | No |
| 8 | RU000A0ZZM87 | Krasnoyarsk Territory 35016 | Yes | No |
| 9 | RU000A101XS6 | MIPC JSC BO 001P-04 | Yes | No |
| 10 | RU000A101XN7 | Sistema PJSFC 001P-14 | Yes | No |
| 11 | RU000A101WF5 | VEB.RF PBO-001P-21 | Yes | No |
| 12 | RU000A101Z17 | Sverdlovsk Region 35008 | Yes | No |
| 13 | RU000A101WL3 | Moscow Region MEF 34014 | Yes | No |
| 14 | RU000A101WR0 | OGK-2 002P-01 | Yes | No |
- The following bonds will be included in the list of assets eligible as collateral:
| № | Ticker | Description | Current Eligible collateral |
New Eligible collateral |
|---|---|---|---|---|
| 1 | XS2196334671 | Gaz Finance Plc 3.00 29/06/27 | No | Yes |
| 2 | CH0419041634 | RZD CAPITAL PLC 03/04/28 | No | Yes |
| 3 | XS2199713384 | Sibur Securities DAC 08/07/25 | No | Yes |
| 4 | CH0205819441 | RZD Capital PLC 21 CHF | No | Yes |
| 5 | RU000A101XH9 | Rosseti Moscow Region BO1P03 | No | Yes |
| 6 | RU000A101FY1 | Rosseti Moscow Region BO1P02 | No | Yes |
| 7 | RU000A101M04 | RZD BO 001P-20R | No | Yes |
| 8 | RU000A101GJ0 | Gazprom Neft 003P-03R | No | Yes |
| 9 | XS2159874002 | LUKOIL Securities B.V.06/05/30 | No | Yes |